Timeline for Simulate a Gaussian Copula with t margins
Current License: CC BY-SA 3.0
9 events
| when toggle format | what | by | license | comment | |
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| Aug 21, 2019 at 21:23 | answer | added | Dave | timeline score: 3 | |
| Aug 21, 2019 at 20:43 | answer | added | michael_fortunato | timeline score: 0 | |
| Dec 4, 2015 at 10:05 | answer | added | Glen_b | timeline score: 2 | |
| Dec 3, 2015 at 17:50 | comment | added | Elekko | Not sure... how should it in that case be done? I use pnorm for since I want to create a Gaussian Copula, however, i just checked that the histogram of U_norm is NOT uniformly distributed. Any help what to do? | |
| Dec 3, 2015 at 17:44 | comment | added | whuber♦ |
Great, thank you. May I direct your attention to the one part of my comment you have not yet addressed? It may hold the key to the problem: why are you applying pnorm, which is the distribution function of a standard Normal variate, when gauss contains variables whose marginal distributions are given by the nonstandard covariance matrix S?
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| Dec 3, 2015 at 15:50 | history | edited | Elekko | CC BY-SA 3.0 |
Edited code for better explanation
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| Dec 3, 2015 at 15:48 | comment | added | Elekko | rmvt is for generating from multidimensional t distribution. I added the library in the top. Also, added plotting code. | |
| Dec 3, 2015 at 15:36 | comment | added | whuber♦ |
Could you elaborate on what you mean by "cannot see any plot that resembles a gaussian copula"? I am puzzled by this because (1) there are no plotting commands or images in your post and (2) this copula exists in 50 dimensions. I am also curious why in your penultimate line pnorm(gauss) you do not refer to S. Incidentally, typos and missing commands (such as one that defines rmvt) in your code will make it impossible to execute.
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| Dec 3, 2015 at 14:54 | history | asked | Elekko | CC BY-SA 3.0 |